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The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
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A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
Curto, José Dias; Tomaz, João Amaral; Pinto, José Castro - In: Portuguese economic journal 8 (2009) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10003823949
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The Intraday Analysis of Volatility, Volume and Spreads : A Review with Applications to Futures Markets
Fantazzini, Dean - 2011
of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday …
Persistent link: https://www.econbiz.de/10013130773
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Intraday VaR : a copula-based approach
Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
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Stochastic time change, volatility, and normality of returns : a high-frequency dats analysis with a sample of LSE stocks
Borsali, Olfa; Zenaidi, Amel - In: Risk management and value : valuation and asset price, (pp. 129-150). 2008
Persistent link: https://www.econbiz.de/10003686172
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Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43
breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …
Persistent link: https://www.econbiz.de/10011393264
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531